Common misconception about Vale, and this extends to the other kingdoms as well, they have natural defenses acting as their primary wall. They don’t actually have a man made one, if you look at the first episode and watch when the airship is going into Vale/Beacon, you can actually see this.

World of Remnant more or less gets retconned a lot but basing what we know of Atlas off of it, they would have icy tundras and cliffs to protect them from the Grimm.

I say the city transforms into a giant robot for defense. It is however completely impractical and never used in full, though in the rare case a large swarm of Grimm attack, you can see multiple city blocks rise up like an arm and swat them all away.